Question

4. Use the following inputs: (1) current stock price is $50, (2) exercise price is $45, (3) time to expiration is 3 months, (4) annualized risk-free rate is 6%, and (5) variance of stock return is 0.20.

a. find the call value

b. find the put value

Answer #1

. Use the Black-Scholes model to find the price for a call
option with the following inputs: (1) current stock price is $45,
(2) exercise price is $50, (3) time to expiration is 3 months, (4)
annualized risk-free rate is 3%, and (5) variance of stock return
is 0.50.
. Using the information from question above, find the value of a
put with a $50 exercise price.

Assume the following inputs for a call option: (1) current stock
price is $34, (2) strike price is $37, (3) time to expiration is 5
months, (4) annualized risk-free rate is 6%, and (5) variance of
stock return is 0.25. The data has been collected in the Microsoft
Excel Online file below. Open the spreadsheet and perform the
required analysis to answer the question below. Open spreadsheet
Use the Black-Scholes model to find the price for the call option.
Do...

Use the Black-Scholes model to find the price for a call option
with the following inputs: (1) current stock price is $30, (2)
strike price is $37, (3) time to expiration is 3 months, (4)
annualized risk-free rate is 5%, and (5) variance of stock return
is 0.16. Do not round intermediate calculations. Round your answer
to the nearest cent.
$ ??????
PLEASE SHOW THE FORMULA!! Thank you :)

. Assume the following for a stock and a call option written on
the stock.
EXERCISE PRICE = $30
CURRENT STOCK PRICE = $30
Standard Deviation = .35 (square it to find variance)
TIME TO EXPIRATION = 3 MONTHS = .25
RISK FREE RATE = 4%
Use the Black Scholes procedure to determine the value of the
call option.
Use the Black Scholes procedure to determine the value of the
Put option

The current price of a stock is $50 and the annual risk-free
rate is 6 percent. A call option with an exercise price of $55 and
one year until expiration has a current value of $7.20. What is the
value of a put option (to the nearest dollar) written on the stock
with the same exercise price and expiration date as the call
option? (Use put-call parity)

Question 34
Black-Scholes
Option-Pricing
S
45
Current
stock price
X
50
Exercise
price
r
5.00%
Risk-free
rate of interest
T
9 months
Time to
maturity of option
Variance
6.308%
Stock
volatility
1.
Call option price =
4.63
2.
Call option price =
2.83
3.
Call option price =
2.93
4.
Call option price =
2.63
5.
None of Above

Black-Scholes Model Use the Black-Scholes Model to find the
price for a call option with the following inputs: (1) Current
stock price is $21. (2) Strike price is $24. (3) Time to expiration
is 5 months. (4) Annualized risk-free rate is 4%. (5) Variance of
stock return is 0.17. Round your answer to the nearest cent. In
your calculations round normal distribution values to 4 decimal
places.
Please show step by step calculations in excel. Thank you

Suppose you own a call option on a stock for which the
following applies:
Underlying stock’s price = $50
Strike price = $49
Risk-free rate =6% (cont. compounded)
Time to expiration on the option = 4 months
Variance of the underlying stock’s return =
0.0169
Find the value of the call and put options using the BSM
model.

Current Price of Stock = 50
Divided Yield = 2%
Strike Price = 55
Time to Expiry = 6 months
Volatility = 35%
Risk-Free rate =4%
Using Black Scholes Model:
1. What is the Value of American Call option?
2. What is the Value of American Put Option?
solve it in excel.

GIVEN:
Spot price = $50
Strike Price = $54
Time to expiration = 6 months
Risk Free rate = 3%
Variance = 22% (use for volatility)
FIND:
Price of a European Put option
Price of a European Call option
Show work and formula

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